public static DrawDown GetMaxDrawDown(ProfitAndLossResult input)
{
DateTime curDate = input.StartDate;
DrawDown mdd = new DrawDown();
while (curDate <= input.EndDate)
{
if (input.IsExistDate(curDate))
{
DrawDown dd = GetDrawDown(curDate, input.EndDate, input);
if (dd.Value < mdd.Value)
{
mdd = dd;
}
}
curDate = curDate.AddDays(1);
}
return mdd;
}
static DrawDown GetDrawDown(DateTime startDate, DateTime endDate, IPnLResult input)
{
DateTime curDate = startDate;
double startDateCumPnL = input.GetCumPnL(startDate);
DrawDown dd = new DrawDown();
dd.StartDate = startDate;
dd.EndDate = endDate;
while (curDate <= endDate)
{
if (input.IsExistDate(curDate))
{
double curDateCumPnL = input.GetCumPnL(curDate);
double diff = curDateCumPnL - startDateCumPnL;
if (diff <= dd.Value)
{
//update
dd.Value = diff;
dd.EndDate = curDate;
}
}
curDate = curDate.AddDays(1);
}
return dd;
}